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ECONIS (ZBW)
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1
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10012460479
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2
Forecasts in a Slightly Misspecified Finite Order VAR
Müller, Ulrich K.
-
2011
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...
Persistent link: https://www.econbiz.de/10012461943
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3
Multi-Period Corporate Failure Prediction with Stochastic Covariates
Duffie, Darrell
-
2004
We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on...
Persistent link: https://www.econbiz.de/10012467947
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4
Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts
Andersen, Torben G.
-
1997
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012472795
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5
Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong
-
1997
Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series...
Persistent link: https://www.econbiz.de/10012472881
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6
Valuation of Variance Forecast with Simulated Option Markets
Engle, Robert F.
-
1990
An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast...
Persistent link: https://www.econbiz.de/10012475683
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7
Forecasting Aggregate Period Specific Birth Rates : The Time Series Properties of a Microdynamic Neoclassical Model of Fertility
Heckman, James J.
-
1989
This article demonstrates the value of microdata for understanding the effect of wages on life cycle fertility dynamics. Conventional estimates of neoclassical economic fertility models obtained from linear aggregate time series regressions are widely criticized for being nonrobust when adjusted...
Persistent link: https://www.econbiz.de/10012475910
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8
Real-Time Forecasting with a Mixed-Frequency VAR
Schorfheide, Frank
-
2013
This paper develops a vector autoregression (VAR) for time series which are observed at mixed frequencies - quarterly and monthly. The model is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. We show how to evaluate the marginal data density to...
Persistent link: https://www.econbiz.de/10012458951
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9
Bayesian Variable Selection for Nowcasting Economic Time Series
Scott, Steven L.
-
2013
We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than observations. Our approach combines three Bayesian techniques: Kalman filtering, spike-and-slab regression, and model averaging. We illustrate this approach using search engine...
Persistent link: https://www.econbiz.de/10012459094
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10
Risks for the Long Run : A Potential Resolution of Asset Pricing Puzzles
Bansal, Ravi
-
2000
We model dividend and consumption growth rates as containing a small long-run predictable component and economic uncertainty (i.e., growth rate volatility) as being time-varying. The magnitudes of the predictable variation and changing volatility in growth rates, as in the data, are quite small....
Persistent link: https://www.econbiz.de/10012470673
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